FEZ Options History — September 2016

In September 2016, FEZ traded between $31.84 and $33.82. ATM implied volatility averaged 18.2%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.2% (HV 20d: 15.0%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.81.

Notable Days

  • 2016-09-29: Highest Volume — 25,329 contracts
  • 2016-09-13: Largest IV spike — 23.1% change
  • 2016-09-20: Highest IV Rank — 23.4%
  • 2016-09-29: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.84$31.84$33.82$33.03$32.85
Max Pain$32.83$32.00$33.00$32.00$32.00
ATM IV18.2%15.8%20.9%17.7%17.5%
Expected Move5.3%4.2%6.1%5.0%5.2%
HV 20d15.0%8.1%21.5%8.9%21.5%
HV 60d26.1%15.4%34.0%34.0%16.0%
IV Rank11.2%0.0%23.4%7.7%7.8%
IV Percentile22.3%0.0%53.2%9.5%9.5%
Term Structure0.2%-1.1%2.2%-0.2%0.2%
VWIV19.9%17.6%23.5%18.7%22.2%
Skew 25d5.8%2.2%9.3%8.8%8.5%
Skew 10d7.9%3.5%14.4%5.8%13.6%
Call IV 25d15.3%9.9%18.9%11.8%13.3%
Put IV 25d21.1%17.9%23.6%20.6%21.7%
Bid-Ask Spread %50.6729.0371.8453.6751.93
Gamma HHI0.180.150.210.180.15
Net GEX2.5M350.7K6.2M3.2M1.9M
Net DEX-41.9M-78.5M-342.5K-47.0M-32.1M
Net VEX-654.2K-688.0K-556.6K-666.8K-608.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.964.421.044.42
Total Volume17,251.90512,71125,32920,11921,431
Total OI97,133.95289,969102,24493,97899,693

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$33.03$32.0017.7%5.0%8.9%7.7%18.7%8.8%-0.2%3.2M-47.0M-666.8K1.0453.67N/AN/A9,87110,24853,16340,815
2016-09-02$33.49$32.0016.1%4.2%9.3%0.2%19.9%7.7%-0.5%4.8M-63.1M-686.2K1.0229.03N/AN/A10,21110,40556,97240,873
2016-09-06$33.68$33.0016.6%4.6%9.4%2.7%18.2%9.3%-0.6%5.2M-72.5M-673.1K0.9640.40N/AN/A10,0109,56756,85438,672
2016-09-07$33.81$33.0015.8%4.7%8.2%0.0%18.1%5.3%-0.0%6.2M-78.5M-664.2K1.6953.21N/AN/A7,22812,24657,17638,583
2016-09-08$33.82$33.0015.8%4.9%8.1%0.0%18.5%6.1%1.0%5.8M-76.3M-677.7K1.7051.22N/AN/A7,18712,18857,20441,013
2016-09-09$33.11$33.0017.5%5.3%11.2%8.0%18.5%2.2%0.3%4.0M-60.3M-676.8K2.1542.85N/AN/A6,82114,64557,39043,293
2016-09-12$33.31$33.0016.7%5.6%11.4%4.2%20.2%7.5%1.9%3.6M-49.2M-680.0K2.3348.42N/AN/A4,0419,40356,51843,672
2016-09-13$32.53$33.0020.5%6.0%14.2%21.9%21.0%4.2%0.1%1.6M-31.2M-666.6K2.3860.10N/AN/A4,1069,79056,68944,368
2016-09-14$32.42$33.0020.1%6.0%14.2%19.9%21.3%6.5%1.2%928.7K-23.8M-653.0K3.1835.41N/AN/A3,0419,67056,67944,765
2016-09-15$32.64$33.0018.8%5.1%14.5%14.1%21.4%5.9%-1.1%1.5M-27.4M-661.3K3.1455.37N/AN/A3,23710,17856,67044,883
2016-09-16$31.84$33.0020.8%6.0%16.7%23.2%21.5%4.4%0.6%350.7K-342.5K-642.7K1.2359.17N/AN/A7,9039,68956,52745,717
2016-09-19$32.07$33.0019.8%5.6%16.8%18.7%19.8%3.8%2.2%1.0M-23.3M-649.7K1.2653.56N/AN/A9,13711,55755,58636,083
2016-09-20$32.12$33.0020.9%6.0%16.8%23.4%20.5%4.5%-0.9%1.1M-27.1M-673.6K1.4347.81N/AN/A6,3239,03758,33338,598
2016-09-21$32.62$33.0019.6%5.6%17.6%17.5%19.2%4.3%-0.9%1.3M-35.3M-677.1K1.5171.84N/AN/A5,8838,87759,92338,606
2016-09-22$33.17$33.0017.8%5.0%18.6%9.2%19.9%5.2%1.2%2.9M-60.8M-685.9K1.5558.41N/AN/A5,7518,89959,91838,720
2016-09-23$32.98$33.0016.7%4.7%18.7%4.2%17.6%6.1%0.7%2.1M-53.3M-688.0K1.7259.75N/AN/A5,1848,89259,66838,642
2016-09-26$32.49$33.0018.3%5.4%19.4%11.8%19.3%4.3%0.5%1.9M-37.7M-668.8K1.0463.64N/AN/A7,9488,24457,89437,359
2016-09-27$32.45$33.0018.6%5.4%19.4%12.9%20.8%5.1%-0.0%928.9K-24.3M-606.9K1.3748.81N/AN/A6,0738,32454,28737,824
2016-09-28$32.83$33.0017.7%4.9%19.8%9.0%18.2%8.7%-0.3%1.6M-33.8M-574.2K1.6834.25N/AN/A5,1198,59752,30437,910
2016-09-29$32.29$32.5020.1%6.1%20.6%19.7%23.5%2.9%-0.6%708.4K-22.1M-556.6K1.2445.11N/AN/A11,32814,00151,90838,061
2016-09-30$32.85$32.0017.5%5.2%21.5%7.8%22.2%8.5%0.2%1.9M-32.1M-608.5K4.4251.93N/AN/A3,95717,47454,30845,385